Inferences in stochastic volatility models: a new simpler way (Q4645250)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6999553
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Inferences in stochastic volatility models: a new simpler way |
scientific article; zbMATH DE number 6999553 |
Statements
Inferences in Stochastic Volatility Models: A New Simpler Way (English)
0 references
10 January 2019
0 references
correlated squared observations
0 references
consistent estimation
0 references
generalized method of moments and complexity
0 references
kurtosis estimation
0 references
large sample properties
0 references
quasi-maximum likelihood estimation
0 references
simpler method of moments using fewer unbiased estimating equations
0 references
small sample comparison
0 references
time dependent variances
0 references
volatility parameters
0 references
analytical estimation
0 references
0 references
0 references
0 references
0.8197624683380127
0 references
0.8073006272315979
0 references
0.8064631819725037
0 references
0.8022978901863098
0 references
